Actually no.
I have the built-in (Alora theme) lightbox enabled; and still, it’s working properly now.
The only thing I had to do to get everything working was to add the “Royal PrettyPhoto” plugin.

My understanding is that Alora uses this invisibly; and the built-in version was not linking the images as a gallery set; but by manually adding the “Royal PrettyPhoto” plugin and enabling it, this (for some reason) does correct this issue.

You might want to have a look at this requirement, since I’m sure you never intended this.